def test_glm_fisher_information(self): N = 2000 T = 1000 glm = GLM(4) glm.weights = randn(glm.dim_in, 1) glm.bias = -2. inputs = randn(glm.dim_in, N) outputs = glm.sample(inputs) x = glm._parameters() I = glm._fisher_information(inputs, outputs) x_mle = [] # repeated maximum likelihood estimation for t in range(T): inputs = randn(glm.dim_in, N) outputs = glm.sample(inputs) # initialize at true parameters for fast convergence glm_ = GLM(glm.dim_in) glm_.weights = glm.weights glm_.bias = glm.bias glm_.train(inputs, outputs) x_mle.append(glm_._parameters()) C = cov(hstack(x_mle), ddof=1) # inv(I) should be sufficiently close to C self.assertLess(max(abs(inv(I) - C) / (abs(C) + .1)), max(abs(C) / (abs(C) + .1)) / 2.)
def test_glm_fisher_information(self): N = 1000 T = 100 glm = GLM(3) glm.weights = randn(glm.dim_in, 1) glm.bias = -2. inputs = randn(glm.dim_in, N) outputs = glm.sample(inputs) x = glm._parameters() I = glm._fisher_information(inputs, outputs) x_mle = [] # repeated maximum likelihood estimation for t in range(T): inputs = randn(glm.dim_in, N) outputs = glm.sample(inputs) # initialize at true parameters for fast convergence glm_ = GLM(glm.dim_in) glm_.weights = glm.weights glm_.bias = glm.bias glm_.train(inputs, outputs) x_mle.append(glm_._parameters()) C = cov(hstack(x_mle), ddof=1) # inv(I) should be sufficiently close to C self.assertLess(max(abs(inv(I) - C) / (abs(C) + .1)), max(abs(C) / (abs(C) + .1)) / 2.)
def test_glm_train(self): w = asarray([[-1., 0., 1., 2.]]).T b = 1. x = randn(4, 100000) p = 1. / (1. + exp(-dot(w.T, x) - b)) y = rand(*p.shape) < p glm = GLM(4, LogisticFunction, Bernoulli) # test gradient err = glm._check_gradient(x, y, 1e-5, parameters={ 'train_weights': False, 'train_bias': True}) self.assertLess(err, 1e-8) err = glm._check_gradient(x, y, 1e-5, parameters={ 'train_weights': True, 'train_bias': False}) self.assertLess(err, 1e-8) err = glm._check_gradient(x, y, 1e-5) self.assertLess(err, 1e-8) err = glm._check_gradient(x, y, 1e-5, parameters={ 'regularize_weights': 10., 'regularize_bias': 10.}) self.assertLess(err, 1e-8) # test training glm.train(x, y, parameters={'verbosity': 0}) self.assertLess(max(abs(glm.weights - w)), 0.1) self.assertLess(max(abs(glm.bias - b)), 0.1) glm.weights = w glm.bias = -1. glm.train(x, y, parameters={'verbosity': 0, 'train_weights': False}) self.assertLess(max(abs(glm.weights - w)), 1e-12) self.assertLess(max(abs(glm.bias - b)), 0.1) glm.weights = randn(*glm.weights.shape) glm.bias = b glm.train(x, y, parameters={'verbosity': 0, 'train_bias': False}) self.assertLess(max(abs(glm.weights - w)), 0.1) self.assertLess(max(abs(glm.bias - b)), 1e-12)
def test_glm_pickle(self): tmp_file = mkstemp()[1] model0 = GLM(5, BlobNonlinearity, Bernoulli) model0.weights = randn(*model0.weights.shape) model0.bias = randn() # store model with open(tmp_file, 'w') as handle: dump({'model': model0}, handle) # load model with open(tmp_file) as handle: model1 = load(handle)['model'] # make sure parameters haven't changed self.assertLess(max(abs(model0.bias - model1.bias)), 1e-20) self.assertLess(max(abs(model0.weights - model1.weights)), 1e-20) x = randn(model0.dim_in, 100) y = model0.sample(x) self.assertEqual(model0.evaluate(x, y), model1.evaluate(x, y))
def test_glm_pickle(self): tmp_file = mkstemp()[1] model0 = GLM(5, BlobNonlinearity, Bernoulli) model0.weights = randn(*model0.weights.shape) model0.bias = randn() # store model with open(tmp_file, 'w') as handle: dump({'model': model0}, handle) # load model with open(tmp_file) as handle: model1 = load(handle)['model'] # make sure parameters haven't changed self.assertLess(max(abs(model0.bias - model1.bias)), 1e-20) self.assertLess(max(abs(model0.weights - model1.weights)), 1e-20) x = randn(model0.dim_in, 100) y = model0.sample(x) self.assertEqual( model0.evaluate(x, y), model1.evaluate(x, y))
def test_glm_train(self): w = asarray([[-1., 0., 1., 2.]]).T b = 1. x = randn(4, 100000) p = 1. / (1. + exp(-dot(w.T, x) - b)) y = rand(*p.shape) < p glm = GLM(4, LogisticFunction, Bernoulli) # test gradient err = glm._check_gradient(x, y, 1e-5, parameters={ 'train_weights': False, 'train_bias': True }) self.assertLess(err, 1e-8) err = glm._check_gradient(x, y, 1e-5, parameters={ 'train_weights': True, 'train_bias': False }) self.assertLess(err, 1e-8) err = glm._check_gradient(x, y, 1e-5) self.assertLess(err, 1e-8) err = glm._check_gradient(x, y, 1e-5, parameters={ 'regularize_weights': 10., 'regularize_bias': 10. }) self.assertLess(err, 1e-8) # test training glm.train(x, y, parameters={'verbosity': 0}) self.assertLess(max(abs(glm.weights - w)), 0.1) self.assertLess(max(abs(glm.bias - b)), 0.1) glm.weights = w glm.bias = -1. glm.train(x, y, parameters={'verbosity': 0, 'train_weights': False}) self.assertLess(max(abs(glm.weights - w)), 1e-12) self.assertLess(max(abs(glm.bias - b)), 0.1) glm.weights = randn(*glm.weights.shape) glm.bias = b glm.train(x, y, parameters={'verbosity': 0, 'train_bias': False}) self.assertLess(max(abs(glm.weights - w)), 0.1) self.assertLess(max(abs(glm.bias - b)), 1e-12)